Liquidity and Bond Market Spreads

Perraudin, William; Taylor, Alex P.

doi:10.2139/ssrn.424060

Abstract

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Liquidity and Bond Market Spreads

William Perraudin

Imperial College London - Accounting, Finance, and Macroeconomics

Manchester Business School

June 2003

EFA 2003 Annual Conference Paper No. 879

Abstract:
Recent research by Elton et al (2001) argues that investment-quality defaultable debt spreads reflect three factors: expected losses, risk premiums and taxes. In this paper, we sort bond price data on liquidity proxies (quote frequency, bond age and issue size) and show that an important additional component of spreads is a liquidity premium.

Number of Pages in PDF File: 37

Keywords: Credit Spreads, Liquidity, Asset Pricing, Bond Yields

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Date posted: August 1, 2003

Suggested Citation

Perraudin, William and Taylor, Alex P., Liquidity and Bond Market Spreads (June 2003). EFA 2003 Annual Conference Paper No. 879. Available at SSRN: http://ssrn.com/abstract=424060 or http://dx.doi.org/10.2139/ssrn.424060

Contact Information

William Perraudin (Contact Author) Imperial College London - Accounting, Finance, and Macroeconomics ( email ) South Kensington campus London SW7 2AZ United Kingdom
Alex P. Taylor Manchester Business School ( email ) Crawford House Oxford Road Manchester M13 9PL United Kingdom

Abstract

Citations (29)

Liquidity and Bond Market Spreads

William Perraudin

Alex P. Taylor

Date posted: August 1, 2003

Suggested Citation

Contact Information

William Perraudin (Contact Author)

Alex P. Taylor